VIP Benchmark Glossary

Transcription

1 VIP Benchmark Glossary Benchmark descriptions in this document are effective as of December 12, A benchmark is an industry-standard method to measure the overall performance of specific types of investments or a particular asset class. This gives you a way to measure the relative performance of a particular investment or fund. This Benchmark Glossary offers more detailed descriptions of the benchmarks used to give you a measure of relative performance for the investments in the VIP investment lineup. The benchmarks used for the VIP fall into two categories: Broad-Based Benchmarks and Custom Benchmarks. A Broad-Based Benchmark is a securities market index that is widely recognized and published in financial publications such as the Wall Street Journal or Bloomberg ( A Custom Benchmark is tailored to be more indicative of performance related to a VIP fund s actual portfolio holdings and strategies. Benchmark returns, updated quarterly, can be found on the Fund Fact Sheets at companyoffices/empinfo/benefits/fund_fact_sheets.html. Broad-Based Benchmarks BofA ML US Treasury Bill 3 Month Index This index consists of U.S. Treasury Bills maturing in 90 days. Barclays Global Aggregate Bond Index This index is a broad-based measure of the global investment-grade fixed-rate debt markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indexes. It also includes a wide range of standard and customized sub-indexes by liquidity constraint, sector, quality, and maturity. Barclays US Aggregate Bond Index This index is a broad-based benchmark that measures the investment-grade, US dollar-denominated, fixed-rate taxable bond market, including Treasuries; Government-related and corporate securities; and mortgage-backed, commercial mortgage-backed, and asset-backed securities. Barclays US 1 10 Year TIPS Index This index consists of U.S. Treasury Inflation Protected Securities issued by the U.S. Treasury that have maturities ranging from 1 to 10 years. Each security has at least $250 million par amount outstanding, publicly issued, dollar denominated, nonconvertible, fixed-rate, and rated investment grade by at least two of the following ratings agencies: Moody s, S&P, and Fitch. If only two of the three agencies rate a security, the lower rating is used to determine index eligibility. If only one of the three agencies rates a security, the rating must be investment grade. MSCI ACWI Investable Market Index (IMI) The MSCI ACWI IMA captures large, mid, and small cap representation across 23 Developed Markets (DM) and 23 Emerging Markets (EM) countries. With 8,446 constituents, the index is comprehensive, covering approximately 99 percent of the global equity investment opportunity set. Copyright 2014 Boeing. All rights reserved. Updated on December 12,

2 MSCI ACWI ex USA Investable Marked Index (IMI) The MSCI ACWI ex USA IMA captures large, mid, and small cap representation across 22 of 23 Developed PIMCO Global Advantage Bond Index (GLADI) This index is a diversified bond index intended to provide a better representation of the fixed-income universe through its wide coverage of fixed-income instruments and sectors from developed to emerging markets, nominal to real assets, and cash to derivative instruments. GLADI employs a unique GDP-weighting methodology that puts emphasis on rapidly developing markets, making the index forward-looking in nature. Russell 1000 Index The Russell 1000 Index measures the performance of the large cap segment of the US equity universe. It is a subset of the Russell 3000 Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 92 percent of the US market. Russell 2000 Index The Russell 2000 Index measures the performance of the small cap segment of the US equity universe. The Russell 2000 is a subset of the Russell 3000 Index, representing approximately 10 percent of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. Russell 2500 Index The Russell 2500 Index measures the performance of the small to mid cap segment of the US equity universe, commonly referred to as smid cap. The Russell 2500 is a subset of the Russell 3000 Index. It includes approximately 2,500 of the smallest securities based on a combination of their market cap and current index membership. Standard & Poor s (S&P) 500 Index This index is an unmanaged index consisting of 500 stocks and is a widely recognized common measure of the performance of the overall US stock market. S&P North American Technology Sector Index This index measures the performance of technology-related stocks December 12, 2014

3 Custom Benchmarks VIP Benchmark Glossary (continued) Balanced Index Custom Benchmark The Balanced Index Custom Benchmark is a custom blended benchmark comprising the Barclays US Aggregate Bond Index (40 percent), the S&P 500 Index (30 percent), and the MSCI ACWI ex USA IMI (30 percent). securities; and mortgage-backed, commercial mortgage-backed, and asset-backed securities. The Standard & Poor s 500 Index is an unmanaged index consisting of 500 stocks and is a widely recognized common measure of the performance of the overall US stock market. Boeing Stock Fund Custom Benchmark The Boeing Stock Fund Custom Benchmark is a custom blend comprising Boeing stock s return (98.5 percent) and cash or cash equivalents (1.5 percent). Diversified Real Asset Custom Benchmark Effective July 1, 2013, the custom benchmark for the Diversified Real Asset Fund was changed to the Balanced Multi-Asset Inflation Index (BMAII). The BMAII is a static, transparent blend of natural resource equity, commodity, and inflation-lined bond indexes. The BMAII comprises 30 percent MSCI ACW Commodity Producers Index, 15 percent Dow Jones UBS Commodity Total Return Index, and 55 percent Barclays US TIPS 1 10 Year Index. The MSCI ACW Commodity Producers Index includes exposure to energy, metals, and agriculture equities. Before July 1, 2013, the benchmark for the fund was a custom blend of 13 dynamic underlying indexes. Performance, including historical performance, will be measured against a blend of the former Diversified Real Asset Fund custom benchmark and of the new benchmark (BMAII) that is effective July 1, The MSCI ACWI Commodity Producers Index captures the global opportunity set of commodity producers in the energy, metal, and agricultural sectors. Constituents are selected from the equity universe of MSCI ACWI, the parent index, which covers mid and large cap securities across 23 Developed Markets (DM) and 23 Emerging Markets (EM) countries. All index constituents are categorized into 1 of 12 sub-industries according to the Global Industry Classification Standard (GICS ), including integrated oil and gas; oil and gas exploration and production; gold, steel, aluminum, precious metals and minerals, agricultural products, paper products, and forest products. The DJ UBS Commodity Total Return Index consists of futures contracts on physical commodities traded on US exchanges. Aluminum, nickel, and zinc are exceptions, and trade on the London Metal Exchange. The DJ UBS Commodity Index return is calculated on an excess return basis and is the basis for the Total Return version of the index. The enhancements used to calculate the Total Return version of the index is the incorporation of fully collateralized positions in the underlying commodity futures. The Barclays US 1 10 Year TIPS Index is an index that consists of U.S. Treasury Inflation Protected Securities issued by the U.S. Treasury that have maturities ranging from 1 to 10 years. Each security has at least $250 million par amount outstanding, publicly issued, dollar denominated, nonconvertible, fixed-rate, and rated investment grade by at least two of the following ratings agencies: Moody s, S&P, and Fitch. If only two of the three agencies rate a security, the lower rating is used to determine index eligibility. If only one of the three agencies rates a security, the rating must be investment grade. Updated on December 12,

4 International Companies Custom Benchmark The International Companies Custom Benchmark is a custom blend comprising the MSCI ACWI ex USA IMI and the MSCI ACWI ex USA Index. The MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets (DM) countries (excluding the United States) and 23 Emerging Markets (EM) countries. With 1,823 constituents, the index covers approximately 85 percent of the global equity opportunity set outside the International Index Custom Benchmark The International Index Custom Benchmark is a custom blend comprising the MSCI ACWI ex USA IMI and the MSCI EAFE Index. Markets (DM) countries (excluding the United States) and 23 Emerging Markets (EM) countries. With 6,010 The MSCI EAFE Index is an equity index that captures large and mid cap representation across Developed Markets (DM) countries around the world, excluding the United States and Canada. With 906 constituents, the index covers approximately 85 percent of the free float adjusted market capitalization in each country. The following are the underlying indexes for the following funds: Lifecycle 2020, Lifecycle 2025, Lifecycle 2030, Lifecycle 2035, Lifecycle 2040, Lifecycle 2045, Lifecycle 2050, Lifecycle 2055 Funds, and the Retirement Fund. securities; and mortgage-backed, commercial mortgage backed, and asset-backed securities. The Citigroup 3 Month T-Bill Index tracks the performance of short-term US Government debt securities. The Russell 1000 Index measures the performance of the large cap segment of the US equity universe. It is a subset of the Russell 3000 Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 92 percent of the US market. The Russell 2000 Index measures the performance of the small cap segment of the US equity universe. The Russell 2000 is a subset of the Russell 3000 Index, representing approximately 10 percent of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. The DJ UBS Commodity Total Return Index consists of futures contracts on physical commodities traded on US exchanges. Aluminum, nickel, and zinc are exceptions, and trade on the London Metal Exchange. The DJ UBS Commodity Index return is calculated on an excess return basis and is the basis for the Total Return version of the index. The enhancements used to calculate the Total Return version of the index are the incorporation of fully collateralized positions in the underlying commodity futures December 12, 2014

5 The Barclays US (TIPS) Index consists of TIPS with a maturity of greater than one year and a total outstanding size of $250 million or more. The FTSE EPRA/NAREIT Developed Index measures the performance of listed real estate and REITS globally. The FTSE EPRA/NAREIT Developed Index is free-adjusted and screened for liquidity, size, and revenue. The PIMCO Global Advantage Bond Index (GLADI) is a diversified bond index intended to provide a better representation of the fixed-income universe through its wide coverage of fixed-income instruments and sectors from developed to emerging markets, nominal to real assets, and cash to derivative instruments. GLADI employs a unique GDP-weighting methodology that puts emphasis on rapidly developing markets, making the index forward-looking in nature. Science & Technology Custom Benchmark The Science & Technology Custom Benchmark is a custom blend comprising the S&P North American Technology Sector Index (80 percent) and the MSCI World Healthcare Index (20 percent). The S&P North American Technology Sector Index measures the performance of technology-related stocks. The MSCI World Healthcare Index is an unmanaged index considered representative of health care stocks of developed countries. Stable Value Custom Benchmark Effective July 1, 2013, the Stable Value custom benchmark is a custom-blended benchmark comprising the Barclays 1 3 Year U.S. Government/Credit Index (30 percent), Barclays 1 5 Year U.S. Government/Credit Index (20 percent), Barclays US Aggregate Bond Index (20 percent), Barclays Capital U.S. Intermediate Aggregate Bond Index (25 percent), and MFR Money Market Index (5 percent). Before July 1, 2013, the benchmark for the fund was a custom blend of the Barclays 1 3 Year U.S. Government/ Credit Index (35 percent), Barclays US Aggregate Bond Index (35 percent), Barclays Capital U.S. Intermediate Aggregate Bond Index (25 percent), and MFR Money Market Index (5 percent). The benchmark for the Stable Value Fund was changed to reflect the addition of the Barclays 1 5 Year U.S. Government/Credit Fund. Barclays Capital 1 3 Year U.S. Government/Credit Index comprises all bonds of investment grade with a maturity between one and three years. The Barclays 1 5 Year Government/Credit Index is a broad-based index that includes securities in the Government and Credit Indexes with maturities between one and five years. Securities in the Government component include Treasuries and Agencies. The Credit component includes publicly issued US corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. securities; and mortgage-backed, commercial mortgage-backed, and asset-backed securities The Barclays Intermediate Aggregate Index Index is a broad-based index that represents securities in the intermediate maturity range of the Barclays Aggregate Index that measures the investment-grade, US dollar denominated, fixed- rate taxable bond market, including Treasuries, Government-related and corporate securities, mortgage pass-through securities, and asset-backed securities. The MFR Money Market Index is an all-taxable money fund report average, a product of imoneynet, Inc., and is construed from historical yield data over 900 taxable money market funds. Monthly returns are calculated based on the average 30-day compound yield of the funds in the universe. Updated on December 12,